Publicação
Fearful asymmetry: an analysis of pre-earnings - abnormal returns
| datacite.subject.fos | Ciências Sociais::Economia e Gestão | |
| dc.contributor.advisor | Santa-Clara, Pedro | |
| dc.contributor.author | Amaro, João Tiago Mira Duarte | |
| dc.date.accessioned | 2026-09-11T10:40:41Z | |
| dc.date.available | 2026-09-11T10:40:41Z | |
| dc.date.issued | 2010-01-06 | |
| dc.date.submitted | 2010-01-06 | |
| dc.description | A Work Project, presented as part of the requirements for the Award of a Masters Degree in Finance from Faculdade de Economia da Universidade Nova de Lisboa | |
| dc.description.abstract | In this paper we study the returns on a set of different strategies, which are based on the sign and magnitude of the pre-earnings announcement return for a group of US stocks and for some international markets which provides an additional measure of robustness. We also propose a new methodology for the evaluation of abnormal returns. Evidence is found that stocks with negative abnormal returns on the days prior to the earnings announcement have a subsequent higher return on the days following the announcement. A trading strategy based on these findings is then reproduced and its results are analyzed. | eng |
| dc.identifier.uri | http://hdl.handle.net/10362/206319 | |
| dc.language.iso | eng | |
| dc.rights.uri | http://creativecommons.org/licenses/by/4.0/ | |
| dc.subject | Earnings announcements | |
| dc.subject | abnormal returns | |
| dc.subject | AAR | |
| dc.subject | SAR | |
| dc.title | Fearful asymmetry: an analysis of pre-earnings - abnormal returns | eng |
| dc.type | master thesis | |
| dspace.entity.type | Publication | |
| thesis.degree.name | Mestrado em Finanças |